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Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

Branger, Nicole - 2020

We analyze the optimal stock-bond portfolio under both learning and ambiguity aversion. Stock returns are predictable … is ambiguity-averse and has a preference for investment strategies that are robust to model misspecifications. We derive … a closed-form solution for the optimal robust investment strategy. We find that both learning and ambiguity aversion …

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